Investor Presentation

February 2018

1 Disclaimer

This document may contain “forward-looking statements”, which includes all statements that do not relate solely to historical or current facts and which are therefore inherently uncertain. All forward-looking statements rely on a number of assumptions, expectations, projections and provisional data concerning future events and are subject to a number of uncertainties and other factors, many of which are outside the control of Credito Valtellinese. There are a variety of factors that may cause actual results and performance to be materially different from the explicit or implicit contents of any forward-looking statements and thus, such forward-looking statements are not a reliable indicator of future performance. Credito Valtellinese undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as may be required by applicable law.

Neither this document nor any part of it nor the fact of its distribution may form the basis of, or be relied on or in connection with, any contract or investment decision. Neither Credito Valtellinese nor any member of the Credito Valtellinese Group nor any of its or their respective representatives, directors or employees accept any liability whatsoever in connection with this document or any of its contents or in relation to any loss arising from its use or from any reliance placed upon it.

The information, statements and opinions contained in this document are for information purposes only. This document does not constitute an offer or an invitation to subscribe for or purchase any securities. The securities referred to herein have not been registered and will not be registered in the United States under the U.S. Securities Act of 1933, as amended (the “Securities Act”), or in Australia, Canada or Japan or any other jurisdiction where such an offer or solicitation would require the approval of local authorities or otherwise be unlawful. The securities may not be offered or sold in the United States unless such securities are registered under the Securities Act, or an exemption from the registration requirements of the Securities Act is available. Credito Valtellinese does not intend to register any portion of the offering of the securities in the United States or to conduct a public offering of the securities in the United States. Any public offering of securities to be made in the United States will be made by means of a prospectus that may be obtained from Credito Valtellinese and will contain detailed information about the bank and management, as well as financial statements. Copies of this document are not being made and may not be distributed or sent into the United States, Canada, Australia or Japan.

2 Agenda

1. Executive Summary and 4Q2017 results 2. Creval Business Plan 2018 – 2020 3. Consolidated Results as at September 30th 2017

3 Credito Valtellinese at a glance

Geographical footprint1 Overview

8 1 176 12 • Credito Valtellinese Group (“Creval” or the “Group”) is a 22 Of which 176 7 in Lombardy medium-size banking group, ranking 10 in terms of total assets, (43% of total) 10 27 Centre and is listed in the Italian stock exchange 2 17% North • Parent company Credito Valtellinese was established in 1908 as 32 55% a “popolare” bank in Sondrio, Lombardy, one of the wealthiest Sicily region of Italy 28% • Group branch network is primarily focused on northern regions

115 • 65% of loans to customers are in North Italy, and 54% in Total branches: #412 Lombardy Correlation: distribution network vs. Italian GDP by region2 • Creval exposure to 77% of the Italian GDP • Creval has important partnerships with top financial institutions in 22% 5% 11% 2% 8% 9% 20% 77% the asset management, consumer credit and leasing sectors. 6% 100% 5% 3% Additionally, the Group is finalising a bancassurance partnership 8% 7% 28% with a top insurance player Italian GDP by region 43% • In 2016, Creval shareholders’ meeting approved the transformation into joint-stock company Creval branches distribution network by region Lombardy Sicily Lazio Marche Piedmont Veneto Others Total

Notes: 1) Source: ABI online, last available data; 2) Source: Eurostat, Regional gross domestic product, 2015 data (last available) 4 Credit policies and asset quality – Non performing exposures (1/2)

Bad loans evolution (€m) Unlikely to pay evolution (€m)

Coverage 54.4% 54.1% 61.0% 61.5% 62.3% Coverage 29.4% 29.6% 29.8% 37.1% 33.6%

2.787 2.786 2.384 2.339 2.290 2.233 2.163 1.616 1.746 1.684 1.562 1.647 1.607 1.404 1.437 1.272 1.279 609 621 658

31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017 31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017

Net amount Gross amount Net amount Gross amount

Past due evolution (€m) NPE exposures evolution (€m)

Coverage 8.2% 8.2% 8.5% 8.0% 8.0% Coverage 41.5% 41.6% 41.0% 45.8% 45.3%

198 216 205 5.387 5.330 188 153 167 150 164 4.019 4.012 4.021 103 112 3.154 3.115 2.369 2.176 2.198

31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017 31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017

Net amount Gross amount Net amount Gross amount

5 Credit policies and asset quality – Non performing exposures (2/2)

NPE ratio evolution (%) Bad loans ratio evolution (%)

27,3% 27,2%

21,6% 21,1% 21,7%

18,1% 18,0%

14,1% 14,1% 14,2% 12,7% 13,2%

9,4% 8,4% 8,5% 7,3% 7,4%

3,6% 3,6% 3,9%

31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017 31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017

Net Gross Net Gross

6 Balance sheet and funding

Customer loans evolution (€m) Direct funding evolution (€m)

-0.8% -2.5% +1.6% -2.6% -4.5% -0.7% -0.6% -1.3%

21.109 20.168 20.023 19.896 19.631 17.429 17.281 16.857 17.119 16.681

31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017 31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017

Indirect funding evolution (€m) Tangible book value evolution (€m)

-0.0% +1.0% +1.7% -5.4% -2.7% -9.6% -12.4% 6.2% 11.918 1.708 1.661 11.716 1.502 11.603 11.600 1.316 1.398 11.273

31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017 31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017

7 Capital ratios evolution – Phased in

13,0% 12,7% 12,5% 12,5% 11,8% 11,8% 11,6% 11,6% 11,3% 10,5% 10,5% 10,6% 10,6% 9,4% 9,4%

31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017

Common Equity Tier 1 ratio Tier 1 ratio Total Capital ratio

8 Key P&L indicators

Net interest income evolution (€m) Fees & commissions evolution (€m)

-5.7% -0.7% -3.2% +1.6% -10.4% +10.3% -5.0% +10.8% 105,8 99,0 75,5 74,6 70,9 78,6 99,7 97,4 67,7 95,8

31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017 31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017

Net impairment losses on loans and other fin. assets (€m) Net income evolution (€m)

Including €188m extraordinary provisions 70,8 for Elrond disposal 321,1 2,4

102,5 47,9 17,0 18,8 -197,1 -197,2 -207,8 31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017 31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017

9 P&L 2017 – Stated and adjusted figures

Data in €m Dec-17 Dec-17 adjusted Net interest income 392.0 392.0 Net fees and commissions 291.8 291.8 Net interest & comm. income 683.7 683.7 Dividends and similar income 2.9 2.9 Profit (loss) of equity-accounted investments 1.3 1.3 Net trading and hedging income (expense) and profit (loss) on sales/purchases -200.2 46.6 Other operating net income 20.4 18.4 Operating income 508.1 752.9 Personnel expenses -270.4 -277.9 Other administrative expenses -193.6 -186.6 Depreciation/amortization and net impairment losses on property equipment and investment property and intangible assets -28.2 -28.2 Operating costs -492.3 -492.8 Operating profit 15.8 260.1 Net impairment losses on loans and receivables and other financial assets -404.9 -171.8 Net accruals to provisions for risks and charges -4.0 -4.0 Value adjustments of goodwill 0.0 0.0 Net gains (losses) on sales of investments 68.9 -0.8 Pre-tax profit (loss) from continuing operations -324.2 83.5 Income taxes -4.0 -4.0 Post-tax profit (loss) from continuing operations -328.2 79.5 Total profit or loss after tax from discontinued operations 0.0 0.0 Profit (loss) for the period attributable to non-controlling interests -3.7 -3.7 Profit (loss) for the period -331.8 75.9

10 Extraordinary items (€m)

Extraordinary Items December 2017 Loss for NLP disposal (Elrond) -242.7 Loss for UTP disposal -13.4 Sale of Anima stake 9.3 Operating income (Elrond) 5.0 Operating costs (Elrond) -3.0 Personnel extraordinary contribution 7.5 Other administrative expenses (Elrond) -7.0 Write off of Atlante Fund and other -39.4 Effects of the adoption of a new credit value adjustment policy and minor Elrond effects -193.7 Profit from sale of investment 69.7 Extraordinary Items -407.7 Pre-Tax Result -324.2

Restated Pre-Tax Result 83.5

11 The three business plan pillars

1 2016 2017A 2018E 2020E • Actions for decisive balance sheet derisking through: Asset quality and – NPEs disposal with GACS (1.60€bn GBV) Coverage 41.5% 45.3% 50.3% 59.1% 27.3% coverage ratio – Other NPEs disposal (0.5€bn GBV) 21.7% Gross NPE 10.5% 9.6% – Increase of NPEs coverage ratios ratio

2 2016 2017A 2018E 2020E • Improve operational efficiency 69.7% 65.5% 71.8% 57.5% • Redundancy fund C/I ratio3 Relaunch efficiency Including provisions for • Cost of risk reduction 268 bps 215 bps restructuring costs 94 bps 64 bps and profitability • Further actions aimed at strengthening business CoR (bps) profitability RoTE Neg. Neg. 4.6% 8.2%

3

1 • 700€m rights issue fully pre-underwritten 803.2 €m 700.0 €m 742.5 €m Capital strengthening • Non core assets disposals under way • On top of the capital plan: AIRB models adoptions4, and Capital management o/w capital increase Use of capital for asset IFRS 9 FTA initiatives2 quality improvement

Notes: 1) Pre-underwriting commitment subject to conditions in line with market practice for similar transactions and other specific provisions – See the press release for details; 2) Including 2018 expected net earnings; 3) Cost income adjusted calculated as adjusted operating costs divided by adjusted operating income; 4) Subject to regulatory approval 12 Key business plan targets

2017A 2018E 2020E

CET1 pre AIRB 10.4% 11.0% 11.6% (fully loaded)

Texas ratio 124.8% 74.7% 62.4%

LCR 259% >100% >100%

Net NPE ratio 13.2% 5.5% 4.2%

Gross NPE ratio 21.7% 10.5% 9.6%

NPE coverage 45.3% 50.3% 59.1%

C/I ratio 65.5%1 71.8% 57.5%

RoTE Neg. 4.6% 8.2%

Note: 1) Calculated on adjusted figures 13 Improvement of Creval’s risk profile

BAD Loans coverage Target 2020E UTP coverage Target 2020E Net NPE ratio at Gross NPE ratio at 30-09-2017 77,7% 47,0% ratio at 30-09-2017 at 30-09-2017 30-09-2017 Target 2020E Player 1 5,8% 9,6% Dec. - 2018 74,2% Dec. - 2018 44,9% Player 1 3,3% Target 2020E

Dec. - 2018 10,5% Player 1 66,2% Player 1 44,0% Player 2 5,0% 4.2%

Player 2 10,6% Player 2 65,3% September - 2017 37,1% Dec. - 2018 5,5%

Player 3 11,7% September - 2017 61,5% Player 2 34,0% Player 3 6,9%

Player 4 12,9% Player 3 60,9% Player 3 33,5% Player 4 7,0%

Player 5 14,0% Player 4 60,7% Player 4 31,0% Player 5 8,7%

Player 6 15,5% Player 5 60,0% Player 5 28,5% Player 6 9,0%

Player 7 20,8% Player 6 59,0% Player 6 26,6% Player 7 12,1%

September - 2017 21,1% Player 7 58,7% Player 7 22,3% September - 2017 12,7%

Player 8 22,6% Player 8 46,1% Player 8 16,4% Player 8 13,0%

Texas Ratio at 30-09-2017 (1)

Target 2020E 127,3% 62,4% 112,0% 116,8% 101,3% 90,6% 91,0% 74,4% 74,7%

61,5% 2017

49,9%

-

2018

-

Sept Dec. Dec. Player 1 Player 2 Player 3 Player 4 Player 5 Player 6 Player 7 Player 8

Source: Data as of September, 30th 2017 for other Italian banks. Player : UniCredit, Intesa Sanpaolo, Banco BPM, Bper, Cariparma, Banca Popolare di Sondrio, Credem, Ubi Banca 14 NPE plan – evolution of coverage ratio

Bad loans coverage ratio Past due coverage ratio

GBV Bad GBV Past Loans 2.8 €bn 1.7 €bn 0.5 €bn 0.8 €bn Due (€bn) 0.2 €bn 0.1 €bn 0.1 €bn 0.1 €bn (€bn)

+23.3% +7.3% 74.2% 77.7% 62.3% 54.4% 12.7% 15.5% 8.2% 8.0%

2016 2017 2018 E 2020 E 2016 2017 2018 E 2020 E

UTP coverage ratio Texas ratio1

GBV UTP (€bn) 2.4 €bn 2.2 €bn 1.3 €bn 1.0 €bn

-74.3% +17.6% 136.7% 124,8% 44.9% 47.0% 109.1% 33.6% 74.7% 29.4% 62.4%

2016 2017 2018 E 2020 E 2016 2017 2018 E 2020 E 2016 market average

Note: 1) Calculated as = Gross NPE / (tangible book value + analytics adjustment funds) 15 Asset quality and derisking – track record and new transactions Total disposal 2017 - 2020 more than 3.65 €bn Year Disposal Description Disposed assets Status

Small portfolio • Disposed 74 €m GBV secured bad loans (of which 24 €m in December 2017) at (48.5% average valorization) 74€m

disposal  2017 Project • Disposed 1.4€bn bad loans through securitization in 2017 through GACS - Portfolio composition: 73.5% secured and 26.5% unsecured 1,400 €m Elrond - Price/gross book value: 34.5% 

Project • 1.6€bn bad loans portfolio to be disposed in 2018 through GACS 1,600 €m Started

Aragorn • Expected price in the range 30-35%

2018 Project • 0.5€bn bad loans portfolio to be disposed in second half of 2018 500 €m 2.2 €bn To be activated Gimli • Expected price in the range 20-25%

Capital buffer against deviations

– Single vis-à-vis the expected prices: 80€m

name • Single Name NPE disposal for 80€m (UTP and bad loans) in 2019 - 2020 FTA phasing in regime, recurring To be activated 2020 2019 2019 disposal profitability, AIRB validation effect (subject to regulatory approval)

16 Cost of risk reduction through new credit policies, new early warning model and AIRB

Results achieved Cost of risk evolution

Expected loss Data in bps -21.6% 0,74% New underwriting Data in % 0,58% -204 bps standards / policy 268 bps

2016 2017 215 bps

New credit policies PD loans Corporate 7,2% Data in % 5,4% 4,2% 3,8% 3,3% 1,5% 64 bps New early warning 2015 2016 2017 PD portfolio PD new loans model

PD loans Retail 2016 2017 2020E Data in % 5,7% 5,0% 4,0% 3,8% AIRB model 3,1% Thanks to the actions envisaged in the implementation 2,7% Business Plan, a strong reduction of the 2015 2016 2017 cost of credit is expected PD portfolio PD new loans

17 Achievable and conservative cost of risk target

Benchmarking: Target cost of risk and asset quality

63 64 58 57 55 49 Avg. 56 bps Cost of risk (bps)

Player 1 Player 2 Player 3 Player 4 Player 5 Creval

17,9% 16,4% 12,9% 11,9% 8,4% 9,6% Gross NPE ratio Avg. 13.5%

Player 1 Player 2 Player 3 Player 4 Player 5 Creval

56% 58% >54% 59% 47% NPE coverage Avg. 54%

n.a.

Player 1 Player 2 Player 3 Player 4 Player 5 Creval Business plan Business plan Business plan Business plan Business plan 2016-2019E 2017-2021E 2016-2020E 2017-2020E 2016-2019E

Source: Company disclosure 18 Group simplification through reduction of personnel, branches and other costs

Personnel evolution Branch network evolution # of employees # of Branches

• Lean banking model through further organizational -153 Lean banking simplification and a specific cost optimization program 4.055 503 3,819 < 3,700 412 350

• Migration from traditional channel to digital ones also Digital migration through the development of an advanced online 2016 2017 2020E 2016 2017 2020E banking and innovative self-branches concept

Personnel expenses1 Other administrative expenses • Development of Creval Sistemi e Servizi, also through Data in €m Data in €m partnership, in order to optimize the cost base, improve ICT management the time to market and to face the investment needed in -13.3% -22.9% the future (blockchain, cyber security…) 210 285 278 247 194 162

Industrial • IT Investments for around 44€m to support the transformation industrial transformation and evolution of the Group 2016 2017 2020E 2016 2017 2020E

Note: 1) Net of extraordinary expenses 19 Commercial improvement

Indirect funding net inflows Direct funding evolution • Improvement of the bancassurance performance also Bancassurance through the partnership with major insurance players Data in €m Data in €m CAGR -1.2% and AUM • Further development of the strategic partnership with 1,690 ANIMA

Life premium 51.1% 21.109 19.631 20.096 Big data • Big data management through CRM development

AuM 48.9%

• Further improvement of the digital offer strategy Digital banking Total 2018 - 2020 E 2016 2017 2020E (Bancaperta)

Loans disbursement by segment Loans disbursement by rating Performance • Development of performance management tools Data in €m Data in €m designed for real time monitoring management 7,469 7,469 Other 4% Individuals 30% AAA-A 43%

Value lending • "Value lending" development (i.e. personal loans) Retail 21% BBB-B 38% Corporate 45% CCC-C • Factoring business already put in place; strengthening Unrated 15% High value product of the trade finance business through dedicated 4% resources and budget and development of a dedicated Total 2018 - 2020 E Total 2018 - 2020 E offering for the agriculture sector

20 Net interest income and net commission evolution

Net interest income Net commission Data in €m Data in €m CAGR CAGR 0.4% 2.6%

422 429 311 392 280 292

2016 2017 2020E 2016 2017 2020E

Net interest and commission income by branch Gross banking asset1 by branch Data in €m Data in €m

50.7% 51.6%

2,1 151,1 1,7 115,5 1,4 99,7

2016 2017 2020E 2016 2017 2020E

Legend: xx CAGR % 21 Note: 1) Calculated as: Direct deposit + Indirect funding + Customer loans Capital increase and disposal of non core asset

Action Description CET1 Impact 1

• 700€m rights issue fully pre-underwritten by a Syndicate of banks2 • Issue of new ordinary shares with pre-emptive rights to current shareholders • Timetable: Launch expected in 1Q2018 subject to market conditions and regulatory approval Capital increase +510 bps • Syndicate structure: Mediobanca (Sole Global Coordinator and JBR), Banco Santander, Barclays, Citi, Credit Suisse (Co-Global Coordinators and JBR), Commerzbank and Jefferies (Senior Joint Bookrunners) and KBW and Equita SIM (Joint Bookrunners)

Disposal of non core • Disposal of non core assets / minority stakes with a positive impact on CET1 + 50 bps assets capital for c.60€m and c.40€m RWA release

+ 560 bps

Notes: 1) Impact calculated on 31.12.2017 expected; ratios estimated pre AIRB validation. 2) Pre-underwriting commitment subject to conditions in line with market practice for similar transactions and other specific provisions – See the press release for details. 22 Potential AIRB impact on CET1 Ratio

Creval potential impact after the Benchmark: Impact in terms of CET1 Ratio –AIRB Approach1 implementation of the derisking plan

New framework for the validation of AIRB models adopted by EBA +100-200 bps > 12% 421 bps Trim exercise still under way 11.0 % 284 bps 237 bps 240 bps 208 bps 160 bps

Player 1 Player 2 Player 3 Player 4 Player 5 Average 1° step CET1 ratio AIRB CET1 ratio post 31.12.2018E AIRB validation FULLY LOADED

Step 2 Step 1

..

Approval the AIRB model expected in 20182

Note: 1) Only validations after 2009 are considered; capital impact calculated as the difference between the ratio between the reporting date before and after AIRB approval announcement. 2) Subject to regulatory approval 23 Economic and financial projections 2017 – 2020E

CAGR 2017 Adj – 2017A Adj 2018E 2020E 2020E

Net interest income 392 394 429 +3,0% Net fees and commission income 292 296 311 +2,2% Net interest and commission income 684 690 740 +2,7% Other revenues1 69 33 24 -29,3% Income Operating costs -493 -520 -440 -3,7% statement (€m) Net impairment losses on loans and other assets -172 -161 -113 -13,0% Other elements2 -5 52 -2 -31,1% Income before taxes 83 95 210 +36,0% Taxes -4 -18 -60 n.m. Net income3 76 73 150 +25,4%

Direct deposits 19.631 20.068 20.096 +0,8%

Indirect deposits 11.273 12.799 14.050 +7,6% Balance sheet Customer loans 16.681 16.832 17.417 +1,4% (€m) Book value 1.442 1.603 1.834 +8,3%

Tangible book value 1.398 1.587 1.818 +9,2%

Legend: Bankit Schemes

Notes: 1) Includes dividends and similar income, profit of equity-accounted investments, net trading and hedging income and profit on sales/purchases and other operating income; 2) Includes net accruals to provisions for risks and charges, value adjustments of goodwill and net gains on sales of investments; 3) P&L prepared taking into considerations all the estimated impairment increase on stage 3 financial assets related to First Time Adoption (FTA) 24 of the new IFRS9 principle (reported in equity), net of minority interests Annexes – Italian macroeconomic overview

Macroeconomic context Key macroeconomic data2

• The macroeconomic conditions in Italy have improved for the Inflation and GDP growth Exports and Imports trend fourth consecutive year 6,8% 1,5% 5,8% 4,4% • GDP growth is projected to remain in positive territory, it 1,1% 0,9% 3,6% 0,8% 0,9% 3,2% is expected to reach 1.1% in 2018 and 0.9% in 2019 2,9% 0,1% 5,1% 0,2% 1,4% 1,2% 1,4% 4,4% 4,1% − Private consumption and business investments are 0,1% (0,1%) 2,7% 2,4% 3,8% expected to remain the main growth drivers 2014A 2015A 2016A 2017E 2018E 2019E 2014A 2015A 2016A 2017E 2018E 2019E • Following zero annual average consumer price inflation, the Inflation (%) GDP growth YoY (%) Imports trend (%) Exports trend (%) inflation will average 1.3% in the next three years, driven largely by higher global energy prices Unemployment rate Business confidence index • The growth of business investment has increased due to 12,6% 108,3 103,4 102,5 generous investment tax incentives and companies’ need 11,9% 11,7% 100,2 11,4% 11,0% 94,5 to renew their productive capacity 10,6% • The pace of exports of goods and services growth picked up through much of 2017, supporter demand in the wider 2014A 2015A 2016A 2017E 2018E 2019E 2013A 2014A 2015A 2016A 2017A euro zone • Leading indicators for manufacturing and services, and rising Public debt / GDP Interest rate trend business and consumer confidence, point towards robust 119,8% 120,6% 121,2% 119,9% 3,9% 3,9% economic activity in the near term 118,8% 117,5% 3,7% 3,5% 3,3% 1,1% • The public debt ratio has stabilised in the last years but 0,9% 0,6% 0,5% 0,5% remains at high level, it is expected to decelerate from 2017 2014A 2015A 2016A 2017E 2018E 2019E 2013A 2014A 2015A 2016E 2017E 1 1 Interest rate on loans Interest rate on deposits

Note: 1. Interest rate on loans to households and deposits of households; 2. 2017 data as of October Source: ECB, IMF, Bank of Italy 25 Annexes – Reclassified balance sheet – quarterly figures (€’000)

Assets 31/12/2017 30/09/2017 30/06/2017 31/03/2017 31/12/2016 Cash and cash equivalents 197.829 152.978 156.385 150.632 170.735 Financial assets held for trading 20.681 27.282 20.280 22.797 18.999 Available-for-sale financial assets 4.419.352 4.474.735 4.495.735 4.908.900 5.436.165 Held-to-maturity investments - 885.186 810.229 624.471 - Loans and receivables with banks 2.033.413 851.891 916.938 1.347.802 821.748 Loans and receivables with customers 16.680.944 17.119.206 16.857.488 17.281.485 17.429.196 Hedging derivatives 199 82 - - - Equity Investments 24.371 25.130 23.268 9.742 9.559 Property, equipment and investment property and 439.842 441.388 449.962 480.553 483.816 intangible assets Non-current assets and disposal groups held for sale 3.955 6.928 507.709 32.071 1.498 Other assets 1.136.238 992.806 1.155.950 1.125.569 1.097.743 Total assets 24.956.824 24.977.612 25.393.944 25.984.022 25.469.459

Liabilities and Equity 31/12/2017 30/09/2017 30/06/2017 31/03/2017 31/12/2016 Due to banks 3.143.189 2.728.082 2.655.250 2.805.884 1.661.670 Direct funding from customers 19.631.283 19.896.215 20.023.354 20.168.413 21.108.765 Financial liabilities held for trading 713 1.827 674 411 1.468 Hedging derivatives 138.691 265.684 263.821 286.390 294.137 Other liabilities 431.330 552.140 727.207 802.722 437.838 Provisions for specific purpose 164.172 169.795 171.722 209.463 208.111 Equity attributable to non-controlling interests 5.352 2.844 3.378 3.586 4.040 Equity 1.442.094 1.361.025 1.548.538 1.707.153 1.753.430 Total liabilities and equity 24.956.824 24.977.612 25.393.944 25.984.022 25.469.459

26 Annexes – Reclassified consolidated income statement – quarterly figures (€’000)

Income statement Q4 2017 Q3 2017 Q2 2017 Q1 2017 Q4 2016 Net interest income 97.353 95.838 99.047 99.725 105.769 Net fee and commission income 78.561 70.881 74.646 67.670 75.545 Dividends and similar income 11 24 2.586 290 33 Profit (loss) of equity-accounted investments 289 832 - 16 174 142 Net trading and hedging income (expense) and profit (loss) on 29.506 - 240.543 - 1.282 12.092 - 36.062 sales/repurchases Other operating net income 6.065 3.669 5.795 4.905 3.375 Operating income 211.785 - 69.299 180.776 184.856 148.802 Personnel expenses - 68.060 - 68.068 - 59.193 - 75.122 - 127.358 Other administrative expenses - 38.169 - 47.741 - 59.494 - 48.217 - 69.494 Depreciation/amortisation and net impairment losses on property, equipment - 7.010 - 7.363 - 6.455 - 7.399 - 9.474 and investment property and intangible assets Operating costs - 113.239 - 123.172 - 125.142 - 130.738 - 206.326 Operating profit 98.546 - 192.471 55.634 54.118 - 57.524 Net impairment losses on loans and receivables and other financial assets - 18.810 - 17.047 - 321.102 - 47.911 - 102.541 Net accruals to provisions for risks and charges - 3.350 - 639 1.024 - 1.066 11.493 Value adjustments of goodwill - - - - - 68.797 Net gains (losses) on sales of investments - 13 97 68.798 - 18 5.105 Pre-tax profit (loss) from continuing operations 76.373 - 210.060 - 195.646 5.123 - 212.264 Income taxes - 4.115 2.603 - 801 - 1.676 16.622 Post-tax profit (loss) from continuing operations 72.258 - 207.457 - 196.447 3.447 - 195.642 Profit (loss) for the period attributable to non-controlling interests - 1.491 - 331 - 739 - 1.089 - 1.415 Profit (Loss) for the period 70.767 - 207.788 - 197.186 2.358 - 197.057

27 Annexes – Focus on asset quality

Data in €m, unless otherwise stated 31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017 Gross bad loans 2,787 2,786 1,562 1,616 1,746 Gross unlikely to pay 2,384 2,339 2,290 2,233 2,163 Gross past due 216 205 167 164 112 Gross NPE 5,387 5,330 4,019 4,012 4,021 Gross customer loans 19,750 19,582 18,584 19,027 18,566 Gross NPE ratio 27.3% 27.2% 21.6% 21.1% 21.7% Gross bad loans ratio 14.1% 14.2% 8.4% 8.5% 9.4%

Data in €m, unless otherwise stated 31/12/2016 31/03/2017 30/06/2017 30/09/2017 31/12/2017 Net bad loans 1,272 1,279 609 621 658 Net unlikely to pay 1,684 1,647 1,607 1,404 1,437 Net past due 198 188 153 150 103 Net NPE 3,154 3,115 2,369 2,176 2,198 Net customer loans 17,429 17,281 16,857 17,119 16,681 Net NPE ratio 18.1% 18.0% 14.1% 12.7% 13.2% Net bad loans ratio 7.3% 7.4% 3.6% 3.6% 3.9%

28 Agenda

1. Executive Summary and 4Q2017 results 2. Creval Business Plan 2018 – 2020 3. Consolidated Results as at September 30th 2017

29 Creval Business Plan 2018 – 2020

November, 7th 2017

30 Disclaimer

This document may contain “forward-looking statements”, which includes all statements that do not relate solely to historical or current facts and which are therefore inherently uncertain. All forward-looking statements rely on a number of assumptions, expectations, projections and provisional data concerning future events and are subject to a number of uncertainties and other factors, many of which are outside the control of Credito Valtellinese. There are a variety of factors that may cause actual results and performance to be materially different from the explicit or implicit contents of any forward-looking statements and thus, such forward-looking statements are not a reliable indicator of future performance. Credito Valtellinese undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as may be required by applicable law.

Neither this document nor any part of it nor the fact of its distribution may form the basis of, or be relied on or in connection with, any contract or investment decision. Neither Credito Valtellinese nor any member of the Credito Valtellinese Group nor any of its or their respective representatives, directors or employees accept any liability whatsoever in connection with this document or any of its contents or in relation to any loss arising from its use or from any reliance placed upon it.

The information, statements and opinions contained in this document are for information purposes only. This document does not constitute an offer or an invitation to subscribe for or purchase any securities. The securities referred to herein have not been registered and will not be registered in the United States under the U.S. Securities Act of 1933, as amended (the “Securities Act”), or in Australia, Canada or Japan or any other jurisdiction where such an offer or solicitation would require the approval of local authorities or otherwise be unlawful. The securities may not be offered or sold in the United States unless such securities are registered under the Securities Act, or an exemption from the registration requirements of the Securities Act is available. Credito Valtellinese does not intend to register any portion of the offering of the securities in the United States or to conduct a public offering of the securities in the United States. Any public offering of securities to be made in the United States will be made by means of a prospectus that may be obtained from Credito Valtellinese and will contain detailed information about the bank and management, as well as financial statements. Copies of this document are not being made and may not be distributed or sent into the United States, Canada, Australia or Japan.

31 Agenda

1. Background 2. The three business plan pillars 3. Capital management initiatives 4. Asset quality 5. Relaunch efficiency and profitability 6. Economic and financial projections 2018 - 2020

32 Macro-economic scenario included in the projections

Unemployment (1) Euribor (1) House price index (2)

11,2% 11,1% 10,9% 0,4% 0,3% 10,5% n.d.

-0,4% -0,2% -0,3% -0,3% -1,1% 2017E 2018E 2019E 2020E 2017E 2018E 2019E 2020E 2017E 2018E 2019E 2020E

Inflation (consumer prices) (1) GDP (average annual data) (1) Spread BTP-BUND (in bps) (1)

1,4% 179 181 1,8% 1,2% 160 155 1,0% 1,3% 1,3% 0,9% 0,9%

2017E 2018E 2019E 2020E 2017E 2018E 2019E 2020E 2017E 2018E 2019E 2020E

Source: (1) PROMETEIA – "Rapporto di Previsione Tavole dettagliate della previsione" - September 2017 ; (2) Nomisma – "Osservatorio sul mercato immobiliare 2° rapporto 2016" 33 Competitive background

0,5% EURIBOR 3M Pressure on Yield curve . Expected increase of the Euribor post 2019 0,0% interest rates -0,5% 2016 2017 2018 2019 2020

2,0% Pressure on revenues . Focus on fee based revenue generation 1,6% 1,6% 1,8% 1,7% 1,7% 1,8% and review of the . Review of the business and customer engagement model NII spread business model . Research of new products/services 2014 2015 2016 2017 E 2018 E 2019 E 2020 E

. Simplification and automation of processes 77,6% 70,8% Improvement in Cost 60,3% 61,8% 65,7% 61,7% 58,8% . Redesign and efficiency of front-end and back office processes Income operating efficiency . "Obsessive" cost management 2014 2015 2016 2017 E 2018 E 2019 E 2020 E

Bad loans/ 9,6% 10,5% 12,2% 10,0% 7,5% 6,6% 5,8% Tot.loans Progressive asset . Non performing stock expected decreasing from 2017 1,82% 2,19% Cost of 1,27% 1,28% 1,04% 0,94% 0,84% quality improvement . Cost of risk expected under 100 basis point starting from 2019 risk 2014 2015 2016 2017 E 2018 E 2019 E 2020 E

5,30% 4,70% 5,80% . ROE expected equal to approx. 6% in 2020, still with a significant gap with the cost of capital 1,40% 3,30% Pressure on -3,20% of the Italian banking sector and focusing banks on potential extraordinary operations to ROE -7,00% profitability boost productivity 2014 2015 2016 2017 E 2018 E 2019 E 2020 E

. Introduction of several new guidelines and principles shaping different aspect of the bank  SREP  BRRD  Guidelines on NPL for  MIFID 2  MREL Less Significant Regulatory impact operations and business model  Riforma Popolari  PSD2  Calendar provisioning . Heavy adaptations needed in order to comply with new regulations  IFRS 9  Guidance on NPL

Source: Analysis on Prometeia Forecast Report – July 2017 34 Creval – main recent evolution

Creval Group Entities Gross NPE Data in # Data in €M

-14 -28,6% 20 5,620 4,012 6

2010 3Q 2017 2015 3Q 2017

HR and Branches evolution Operating Costs Data in # Data in €M Employees N° of branches -8,9% -518 -87 552 503 4.482 3.964 526 439

2011 3Q 2017 2015 3Q 2017 2011 3Q 2017 annualized

35 Creval has to improve asset quality and efficiency

Net Interest and Commission Income / Total asset NPE Ratio Data in % Data in %

+ 0,4 p.p. + 1,5 pp 2,7% 21,1% 2,3% 19,6%

3Q 2017 annualized Benchmark 3Q 2017 Benchmark

Operating income adjusted / Gross banking asset (1) Cost-income adjusted Data in % Data in %

+ 0,2 pp + 7,9 pp 1,5% 67,1% 1,2% 59,2%

3Q 2017 annualized Benchmark 3Q 2017 (2) Benchmark

Notes: 1) Calculated as: Direct funding deposit + Indirect funding + Customer loans. 2) See page 9 for detail of adjustments 36 Source benchmark: Financial Statements 2016. Credem, Unicredit, Intesa San Paolo, Banca Popolare di Sondrio, UBI, Banco Desio, Banco BPM, MPS, BPER, Carige Agenda

1. Background 2. The three business plan pillars 3. Capital management initiatives 4. Asset quality 5. Relaunch efficiency and profitability 6. Economic and financial projections 2018 - 2020

37 The three business plan pillars

1

(1) • 700€m rights issue fully pre-underwritten 803,2 €M 700,0 €M 742,5 €M Capital strengthening • Non core assets disposals • On top of the capital plan: AIRB models adoptions, Capital management o/w capital increase Use of capital for asset subject to regulatory approval initiatives (2) quality improvement

2 2016 3Q 2017 2018E 2020 E • Actions for decisive balance sheet derisking through: Asset quality and – NPEs disposal with GAGS (1,60€bn GBV) Coverage 41,5% 45,8% 50,3% 59,1% 27,3% coverage ratio – Other NPEs disposal (0,5€bn GBV) 21,1% Gross NPE 10,6% 9,6% – Increase of NPEs coverage ratios ratio

3 2016 3Q 2017 2018E 2020 E • Improve operational efficiency 69,7% 67,1% 71,8% 57,5% • Redundancy fund C/I ratio (3) Relaunch efficiency Including provisions for • Cost of risk reduction 268 bps 271 bps restructuring costs 94 bps 64 bps and profitability • Further actions aimed at strengthening business CoR (bps) profitability RoTE Neg. Neg. 4,6% 8,2%

Notes: 1) Pre-underwriting commitment of Mediobanca subject to conditions in line with market practice for similar transactions and other specific provisions – See the press release for details. 2) Including 2018 expected net earnings. 3) Cost income adjusted. 38 Agenda

1. Background 2. The three business plan pillars 3. Capital management initiatives 4. Asset quality 5. Relaunch efficiency and profitability 6. Economic and financial projections 2018 - 2020

39 1 Capital increase and disposal of non core asset

Action Description CET1 Impact (1)

• 700€m rights issue fully pre-underwritten by Mediobanca – Banca di Credito Finanziario S.p.A.(2) • Issue of new ordinary shares with pre-emptive rights to current shareholders Capital increase • Timetable: +480 bps – EGM to approve transaction: December, the 19th 2017 – Launch expected in 1Q2018 subject to market conditions and regulatory approval

Disposal of non core • Disposal of non core assets / minority stakes with a positive impact on CET1 + 47 bps assets capital for c.60€m and c.40€m RWA release

+ 527 bps

Notes: 1) Impact calculated on 31.9.2017 Expected; ratios estimated pre AIRB validation. 2) Pre-underwriting commitment of Mediobanca subject to conditions in line with market practice for similar transactions and other specific provisions – See the press release for details. 40 1 Capital reinforcement to cover derisking actions and improve efficiency levels

Capital management actions (€m) Capital needs (€m) Data in €M Data in €M

80.7 803.2 61.0 803.5 742.5 700.0 61.0

-38,5

Source (€m) Usage (€m)

Rights issue Estimated Asset disposal Expected net TOTAL Increase of provisions, Redundancy fund TOTAL transaction costs earnings 2018 derisking plan and (net of asset IFRS9 impact (1)

disposal)

..

Capital reinforcement measures aimed at decisive derisking

Note: 1) Excluding the recurring cost of risk expected in 2018 41 1 Evolution of the CET1 Ratio(1) fully loaded before AIRB validation

+ 240 bps 4.8 %

1.3 % 11.6 % 1.3 % 11.0 % -0,7 %

9.2 % -3,8 % -0,4 %

CET1 ratio 30.9.2017 Capital increase Increase of Redundancy fund Asset disposals CET1 ratio Operating profit RWA impact CET1 ratio FULLY LOADED provisions, and other elements 31.12.2018E 2019 - 2020 net of 31.12.2020E derisking plan, FULLY LOADED expected dividends FULLY LOADED IFRS9 impact and other RWA effects

Note: 1) Impact calculated on 31.9.2017 42 1 Creval AIRB framework

1 Corporate SME Retail Private individuals CREVAL deploys credit models since 2007. PD Internal models cover all relevant asset classes and have Internal Models Unique model for the different been or are being updated in order to include data as of LGD regulatory asset classes 31/12/2016 Unique model for the different

EAD regulatory asset classes

2 RAF & Strategic Planning Pricing Risk Based In coherence with the progressive deployment of Credit Processes Performance Management System Bank's core internal parameters, all the relevant risk management, Reporting risk management Credit Policy processes credit approval and decision making processes have been refined accordingly Generic and Specific provisions MBO

Credit Monitoring AIRB AIRB FRAMEWORK 3

Ad hoc AIRB architecture has been implemented in order to allow both the internal models development and the subsequent release into the Information System production environment for their effective use across Bank's internal processes

43 1 Potential AIRB impact on CET1 Ratio

Creval potential impact after the Benchmark: Impact in terms of CET1 Ratio –AIRB Approach (1) implementation of the derisking plan

New framework for the validation of AIRB models adopted by EBA +100-200 bps > 12% 421 bps Trim exercise still under way 11.0 % 284 bps 237 bps 240 bps 208 bps 160 bps

Player 1 Player 2 Player 3 Player 4 Player 5 Average 1° step CET1 ratio AIRB CET1 ratio post 31.12.2018E AIRB validation FULLY LOADED

Step 2 Step 1

..

Approval of the internal model expected in 2018 - subject to regulatory approval -

Note: 1) Only validations after 2009 are considered; capital impact calculated as the difference between the ratio between the reporting date before and after AIRB approval announcement 44 Agenda

1. Background 2. The three business plan pillars 3. Capital management initiatives 4. Asset quality 5. Relaunch efficiency and profitability 6. Economic and financial projections 2018 - 2020

45 2 Improvement of the Creval’s risk profile

Gross NPE ratio at 30-06-2017 (1) BAD Loans coverage ratio at 30-06-2017 (1) UTP coverage at 30-06-2017 (1)

Player 1 22,6 % Player 1 46,3 % Player 1 15,6 %

CreVal June - 2017 21,6 % Player 2 58,7 % Player 2 22,3 %

Player 2 21,1 % Player 3 58,8 % Player 3 26,4 %

Player 3 15,6 % Player 4 59,9 % Player 4 28,0 %

Player 4 14,1 % Player 5 60,6 % Creval 2017 June - 2017 29,8 %

Player 5 12,9 % Player 6 60,7 % Player 5 31,5 %

Player 6 11,7 % Creval 2017 June - 2017 61,0 % Player 6 33,2 %

Player 7 11,0 % Player 7 64,5 % Player 7 34,3 %

CreVal Dec. - 2018 10,6 % Player 8 66,5 % Player 8 43,6 % Target 2020E

Player 8 5,8 % 9,6% Creval 2018 Dec. - 2018 74,2 % Creval 2018 Dec. - 2018 44,9 %

Target 2020E Target 2020E 77,7% 47,0%

Notes: 1) Data including write-offs Source: Data as of June, 30th 2017 for other Italian banks. Player : Unicredit, Intesa Sanpaolo, Banco BPM, Bper, Cariparma, Banca Popolare di Sondrio, Credem, Ubi Banca 46 2 Asset quality and derisking

Driver Background and rationale Main impacts

Gross NPE

27,3% 21,1% 10,6% 9,6% Disposal of: - 1,6 €bn NPEs via a GACS securitization in the first half of 2018; 5,4 €bn 4,0 €bn 1,9 €bn 1,8 €bn Deleveraging of NPE - 0,5 €bn through other disposal operations in the second half of 2018. 2016 3Q 2017 2018 E 2020 E Gross NPE ratio NPE coverage Envisaged a series of initiatives to increase the coverage of the NPEs portfolio up to about 59% 59,1% in order to reduce significantly Credito Valtellinese’s risk profile: 41,5% 45,8% 50,3% Coverage - Additional ~280€m provisions on UTP (including project Aragorn) - Additional ~180€m provisions on bad loans (including project Aragorn and other disposal) - Additional provisions in relation to IFRS 9 (Stage1+ Stage2) 2016 3Q 2017 2018 E 2020 E

Recovery rate - Concentration of the NPE Unit on a smaller portfolio UTP Bad loans - Increasing UTP and Bad Loans Recovery Rate with less loans to manage 11,9% 6,5% 3,9% NPE management model - Cash flow on “going concern” basis from restructured loans and under restructuring 3,9% 4,7% 5,6% 3,3% 1,7% - Incremental cash flow projections in relation to a positive Real Estate market development - Bad Loans recovery rate increased for the effect of the partnership with Cerved 2016 2017 (1) 2018 E 2020 E(2) 2016 2017 (1) 2018 E 2020 E

Default rate - Adoption of a new credit policy model, in order to strongly oversee the credit quality Credit strategy and Early - Further reinforcement of credit quality KPIs in the performance management model 4,6% 2,4% 1,6% Warning - Reinforcement of the Early Warning system to promptly manage any problematic situations 1,3% - Adoption of AIRB model 2016 2017(1) 2018 E 2020 E

Notes: 1) Data June, 30th 2017 annualized; 2) 2020 influenced by significant outflows to performing exposure related to restructuring of 'going concern' positions 47 2 Asset quality and derisking – track record and new transactions Total disposal 2017 - 2020 3,5€bn

Year Disposal Description Disposed assets Status

Small portfolio • Disposed 50€m GBV secured bad loans at (44% valorization) 50 €M

disposal  2017 Project • Disposed 1,4€bn bad loans through securitization in 2017 through GACS - Portfolio composition: 73,5% secured and 26,5% unsecured 1.400 €M Elrond - Price/gross book value: 34,5% 

Project • 1,6€bn bad loans portfolio to be disposed in 2018 through GACS 1.600 €M Started

Aragorn • Expected price in the range 30-35%

2018 Project • 0,5€bn bad loans portfolio to be disposed in second half of 2018 500 €M 2,2 €bn To be activated Gimli • Expected price in the range 20-25%

Capital buffer against deviations

– Single vis-à-vis the expected prices: 80 €M

name • Single Name NPE disposal for 80€m (UTP and bad loans) in 2019 - 2020 FTA phasing in regime, recurring To be activated 2020 2019 2019 disposal profitability, AIRB validation effect (subject to regulatory approval)

48 2 NPE plan – main expected results

Gross Net NPE Stock NPE evolution 3°Q 2017 – 2020 (data in €M) NPE ratio ratio

3° Q 2017 4.012 21,1% 12,7%

NPE inflows 694 +3,6% +3,0%

NPE recoveries 515 -2,7% -2,7%

Collateral liquidation 44 -0,3% -0,3%

Foreclosure 26 -0,2% -0,0%

NPE disposal 2.180 -55,2 % -11,6% -4,5%

Write-off 67 -0,4% -0,0%

Debt forgiveness 76 -0,4% -0,1% and D/E Swap

Dilution of NPE ratio 0 +0,5 (1) -0,1% (2)

Coverage increase 0 N.a. -3,8% (3) and NPE mix

End of 2020 1.798 9,6% 4,2%

Notes: 1) Increase of the gross NPE ratio due to growth of gross performing exposues (-1,2% the effect on NPE ratio) and decrease of gross NPE (+1,7% the effet on NPE ratio). 2) Decrease of the net NPE ratio due to growth of net performing exposues (-0,7% the effect on NPE ratio) and decrease of net NPE (+0,6% the effet on NPE ratio). 3) Decrease of net NPE ratio due to coverage increase and variation in the NPE mix. 49 2 NPE plan – evolution of coverage ratio

Bad loans coverage ratio Past due coverage ratio

GBV Bad GBV Past Loans 2,8 €bn 1,6 €bn 0,5 €bn 0,8 €bn Due (€bn) 0,2 €bn 0,2 €bn 0,1 €bn 0,1 €bn (€bn)

+23,3 p.p. +7,3 p.p. 74,2% 77,7% 61,5% 54,4% 12,7% 15,5% 8,2% 8,0%

2016 3Q 2017 2018 E 2020 E 2016 3Q 2017 2018 E 2020 E

UTP coverage ratio Texas ratio (1)

GBV UTP (€bn) 2,4 €bn 2,2 €bn 1,3 €bn 1,0 €bn

-74,3 p.p. +17,6 p.p. 136,7% 127,3% 109,1% 44,9% 47,0% 37,1% 74,7% 29,4% 62,4%

2016 3Q 2017 2018 E 2020 E 2016 3Q 2017 2018 E 2020 E 2016 market average

Note: 1) Calculated as = Gross NPE / (tangible book value + analytics adjustment funds) 50 2 NPE portfolio breakdown

NPE portfolio 2018 NPE portfolio 2020

34,7 37,0 % % 65,3 63,0 % %

80,6% 73,1% 59,1% 50,3% 46,6% 38,1%

Coverage secured Coverage unsecured Total coverage Coverage secured Coverage unsecured Total coverage

Unsecured Secured

51 2 IFRS9 and Phasing-in of the FTA reserves

Stage 1 Stage 2 Stage 3 Performing + initial Under-performing Non-performing recognition (with exception) • P&L in the Creval’s Depreciation 12 – month ECL Lifetime expected credit Business Plan prepared losses in continuity with IAS 39 Lifetime Credit risk is critically improved from initial recognition principle, taking into IFRS9 expected + credit losses Objective Value considerations all the parameter loss Effective interest Effective interest Effective interest estimated impacts Interest rate on gross rate on net evalutaion rate on gross related to First Time financial value financial value financial value Adoption (FTA) of the new IFRS9 principle REDUCTION/SOLIDITY Credit risk change from recognition INCREASE

• No material impacts expected on the estimated cost of risk during the Business Plan horizon – for stage • Credito Valtellinese is evaluating to activate – when all the framework will be finally determined PHASING-IN OF 1, stage 2 loans – due and stabilized - the Phasing-in(1) option for the FTA regulatory treatment, in order to increase FTA RESERVES to the conservative provisions and, at the same time, to achieve the maximum capital flexibility. approach to be adopted on FTA process

Note: 1) Phasing-in option to be defined 52 Agenda

1. Background 2. The three business plan pillars 3. Capital management initiatives 4. Asset quality 5. Relaunch efficiency and profitability 6. Economic and financial projections 2018 - 2020

53 3 Cost management and commercial improvement

• Merge by incorporation of Credito Siciliano into Credito Valtellinese Cost income ratio (%) • Personnel reduction through the activation of redundancy fund for c.170 Efficiency and cost base FTE -12,2 p.p. optimization • Review of branch network with target of c.350 branches by 2018 69.7% 67.1% 57.5% • Reinforcement of cost management structure

• Cost cutting plan implementation 2016 3Q 2017 (1) 2020E

CoR (bps) • Credit origination to SMEs and households with low expected loss

Risk approach and cost of risk • Strict risk approach on new lending 268 bps 271 bps evolution • Activation of the new Early Warning model 64 bps • AIRB model implementation 2016 3Q 2017 2020E

Net interest and commission income (€M) • Bancassurance agreement with best in class player CAGR Further commercial • Asset management improvement (1,7 €bn of net inflows over the horizon) 1,3% • 'Value lending' (i.e. personal loans) development 702.1 740.0 507.8 improvement • Reinforcement of the international and agricultural business • Development and implementation of performance management tools 2016 3Q 2017 2020E

Note: 1) See page 10 for detail of adjustments 54 3 Personnel surplus management

GROUP PERSONNEL SURPLUS GROUP SAVINGS # HR Data in €mln

40 400

60

25 13 28 275

-170 175 Expected launch of a 15 redundancy fund to encourage -55 personnel exit in line with requirements (~ 170)

Closing of Credito Siciliano Corporate center Process Total HR surplus Redundancy fund Personnel re- Surplus to Redundancy Further savings Total saving branches integration optimization optimization and arrangement on be managed fund saving managed with digital banking big branches agreements

55 3 Group simplification through reduction of personnel, branches and other costs

Personnel evolution Branch network evolution # of employees # of Branch

• Lean banking model through further organizational -153 Lean banking simplification and a specific cost optimization program 4,055 3,964 503 < 3.700 439 350

• Migration from traditional channel to digital ones also Digital migration through the development of an advanced online 2016 3Q 2017 2020E 2016 3Q 2017 2020E banking and innovative self-branches concept

Personnel expenses Other administrative expenses • Development of Creval Sistemi e Servizi, also through Data in €M Data in €M partnership, in order to optimize the cost base, improve ICT management the time to market and to face the investment needed in -13,3% -22,9% the future (blockchain, cyber security…) 285 210 247 210 155 162

Industrial • IT Investments for around 44€M to support the transformation industrial transformation and evolution of the Group 2016 3Q 2017 2020E 2016 3Q 2017 2020E

56 3 Cost saving program (“LightBank60”)

Operating cost savings Data in €M

63€M 502,6 29.3 28.0 36.0 439,8 1,2 30.5

198.1 162.0

275,2 247,3

Operating cost 3Q 2017 annualized Personnel expenses savings Other administrative expenses savings Depreciation Operating cost 2020E

Value adjustments on tangible and intangible assets Other administrative expenses Personnel expenses saving

57 3 Cost of risk reduction through new credit policies, new early warning model and AIRB

Results yet achieved Cost of risk evolution

Expected loss Data in bps

New underwriting Data in % -13,5% standards / policy -204 bps 0.74% 0.64% 268 bps 271 bps

2016 3Q 2017

New credit policies PD loans Corporate Data in % PD portfolio PD new loans 7,2% 5,4% 4,5% 3,8% 64 bps 3,3% 2,4% New early warning model 2015 2016 3Q.17

PD loans Retail 2016 3Q 2017 2020E Data in % PD portfolio PD new loans

5,7% AIRB model 5,0% 4,3% Thanks to the actions envisaged in the implementation 3,8% 3,1% 3,0% Business Plan is expected a strong reduction of the cost of credit 2015 2016 3Q.17

58 3 Commercial improvement

Loans disbursement by segment Loans disbursement by rating Data in €M Data in €M Value lending • "Value lending" development (i.e. personal loans) 7.469 7.469 Other 4% Individuals 30% AAA-A 43% • Factoring business already put in place; strengthening Retail 21% High value product of the trade finance business through dedicated resources and budget and development of a dedicated BBB-B 38% offering for the agriculture sector Corporate 45% CCC-C Unrated 15% 4% • Improvement of the bancassurance performance also Bancassurance Total 2018 - 2020 E through the partnership with major insurance players Total 2018 - 2020 E

Costumer deposits evolution Indirect funding net inflows Data in €M Data in €M • Big data management through CRM development Big data CAGR 1.690 -1,2%

21.109 19.896 20.096 Life premium 51,1% Bancaperta • Further improvement of the digital offer strategy (Bancaperta)

AuM 48,9%

Performance • Development of performance management tools management designed for real time monitoring 2016 3Q 2017 2020E Total 2018 - 2020 E

59 3 Net interest income and net commission evolution

Net interest income Net commission Data in €M Data in €M CAGR CAGR

0,4% 2,6% 422 429 311 280 295 213

2016 3Q 2017 2020E 2016 3Q 2017 2020E

Detail at slide 42 Details at slide 43

Net interest and commission income by branch Gross banking asset (1) by branch Data in €M Data in €M

+50,7% +51,6%

2.1 151.1

1.4 99.7 111.5 1.2

2016 3Q 2017 2020E 2016 3Q 2017 2020E

Legend: xx CAGR % 60 Note: 1) Calculated as: Direct deposit + Indirect funding + Customer loans 3 Net interest income evolution 3Q 2017 annualized – 2020E

+75 bps

0,42

-0,03 -0,33 -0,33 NII evolution (Net Interest Income) 10.8 24.3 2017 2018 2019 2020 6,3 1,5 7.9 NII Q3 2017 392.8 44,0 annualized 30,6

Volumes effect Yield effect Transfer to Euribor Securities portfolio Other effects Total effects on bad loans and treasury interest income Δ Interest income 7,9

TLTRO -17,7 substitution other institutional funding 3,5 volumes effect -3,7 12.3 Δ Interest expense 28,1 21.4 15.6 2,5

22.6 28.1

NII 2020 E 428.8 Volumes effect Yield effect Retail Wholesale Other institutional Other effects Total effect on subordinated bond bond issuance funding effect interest expense – not renewed

61 3 Net commission evolution 3Q 2017 annualized – 2020E

Data in €M CAGR +3,1% 311 296 3 284 3 18 17 43 41

60 60

72 62

112 115

Q3 2017E annualized 2018E 2020E

Other services Commercial porfolio Payment systems Current account Credit AuM, Bancassurance and third parties products

Legend: xx CAGR % 62 3 Creval Group investments between 2018 and 2020

Actions Capex

Data in €M OPEN BANK DIGITAL BANKING 16,6 43,9

BIG DATA OPERATING EFFICIENCY 14,6

CREDIT PROCESSES MOBILE BANKING 12,6

DATACENTER CYBER SECURITY

2018 2019 2020 Total investment 2018 - 2020 ICT PROCESSES REGULATION IT Investment

63 Agenda

1. Background 2. The three business plan pillars 3. Capital management initiatives 4. Asset quality 5. Relaunch efficiency and profitability 6. Economic and financial projections 2018 - 2020

64 Economic and financial projections 3Q 2017 - 2020

CAGR 3Q 2017 3Q 2017 Adj 2018E 2020E Annualized – 2020E

Net interest income 295 394 429 +3,0% Net commission income 213 296 311 +3,1% Net interest and commission income 508 690 740 +3,0% Other revenues (1) 33 33 24 n.a. Income Operating costs -380 -520 -440 -2,6% statement

(€M) Value adjustments -153 -161 -113 -39,1% Other elements (2) -2 52 -2 n.a. Income before taxes 7 95 210 n.a. Taxes - -18 -60 n.a. Net income (3) - 73 150 n.a.

Direct deposits 19.896 20.068 20.096 +0,3%

Indirect deposits 11.918 12.799 14.050 +5,6% Balance sheet Customer loans 17.119 16.832 17.417 0,6% (€M) Book value 1.361 1.603 1.834 +10,5%

Tangible book value 1.316 1.587 1.818 +11,4%

Legend: Bankit Schemes

Notes: (1) It considers: other management fees / incomes, share of profits and similar incomes, outcome of net assets evaluated shareholdings, finance profits; (2) It considers, net reserves to risks and costs fund and profit from investments and shareholdings transfer (3) P&L prepared taking into considerations all the estimated impairment increase on stage 3 financial assets related to First Time Adoption (FTA) of the new IFRS9 principle (reported in 65 equity) Key business plan targets

3Q 2017 2018E 2020E

CET1 pre AIRB 9,2% 11,0% 11,6% (fully loaded)

Texas ratio 127,3% 74,7% 62,4%

LCR 191% >100% >100%

NPE ratio 21,1% 10,6% 9,6%

NPE coverage 45,8% 50,3% 59,1%

C/I ratio 67,1% 71,8% 57,5%

RoTE Neg. 4,6% 8,2%

66 Creval Business Plan 2018 – 2020

November, 7th 2017

67 Agenda

1. Executive Summary and 4Q2017 results 2. Creval Business Plan 2018 – 2020 3. Consolidated Results as at September 30th 2017

68 Consolidated Results as at September 30th 2017

69 Disclaimer

• This document has been prepared by Credito Valtellinese for information purpose only and does not constitute a public offer under any applicable legislation or an offer to sell or solicitation of an offer to purchase or subscribe for securities or financial instruments or any advice or recommendation with respect of such securities or other financial instruments.

• The information, opinions, estimates and forecasts contained herein have not been independently verified. They have been obtained from, are based upon, sources that company believes to be reliable but makes no representations (either express or implied) or warranty on their completeness, timeliness or accuracy.

• The document may contain forward-looking statements, which are therefore inherently uncertain. All forward-looking statements rely on a number of assumptions, expectations, projections and provisional data concerning future events and are subject to significant risks and uncertainties, many of which are outside the company’s control. There are a variety of factors that may cause actual results and performance to be materially different from the explicit or implicit contents any forward-looking statements and thus, such forward-looking statements are not a reliable indicator of future performance. The company undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as may be required by applicable law. The information and opinions contained in this Presentation are provided as at the date hereof and are subject to change without notice.

• Pursuant the consolidated law on financial intermediation of 24 February 1998 (article 154-bis, paragraph 2), Simona Orietti, in her capacity as manager in charge of financial reporting declares that the accounting information contained in this Presentation reflects the group’s documented results, financial accounts and accounting records.

70 Agenda

1. Credit policies and asset quality 2. Funding, liquidity and securities portfolio 3. Capital ratio 4. Revenues development 5. Cost management and Net profit development 6. Annexes

71 Credit policies and asset quality - Loans to customers analysis Quarterly trend (€mn) Commercial Loans * (gross amounts) ~ 1.3 € bn “Portfolio Elrond” disposal1

18,854 18,879

23,064 21,279 20,074 20,106 19,825 19,741 19,315 18,990 18,871 17,578 17,603

12.12 12.13 12.14 12.15 03.16 06.16 09.16 12.16 03.17 06.17 09.17 1 Net of collections and other movement (expenses, * Total gross loans to customers net of exposures with institutions, mainly CCG (Cassa Compensazione e Garanzia) time value, etc.) recorded from 30 November 2016 and CDP (Cassa Depositi e Prestiti) to 30 June 2017.

Performing loans by sector (ATECO classification)** Total gross loans by asset class** Construction Households Other Other sector 26.1% 10.7% 7.4% 3.7% Real estate ~ 70% of total loan 10.1% book to SMEs

Retail Households Industrial 16.8% 29.2% 20.4% SME Corporate 37.7%

 SME corporate: revenue or total assets < 25 mn Services Commercial  Corporate: revenue or total asset ≥ 25 mn Corporate **Source: internal data 11.6% 10.6%  Retail: Small Retail exposure ≥ 100k, Micro Retail < 100k exposure 15.7%

72 Credit policies and asset quality - Focus on new loans ~ 1,662 mn of newly granted loans (Individuals and SMEs/Corporate) over the period Expected Loss performing portfolio -5 bps since June 2017

Amount Chg % % Fixed Average YoY Rate*

Individuals 478 mn -20.4 % 33.1 % 2.54 %

INDIVIDUALS Expected Loss new Of which substitutions («surroghe»): 36.7 mn performing exposures disbursed in the period

Amount Chg % Individual: 31 bps YoY Corporate: 52 bps Retail: 60 bps Mortgage 203 mn -5.7 %

Total new originated loans Other secured 344 mn -19.1 % Average Rate Portfolio 3Q 2017: 48 bps

Unsecured 637 mn +15.5 % 2.24 %* SME & SMECORPORATE Total amount 1,184 mn** -0.7 %

*Average rate from the beginning of the year **Net of institutional loans Source: internal data

73 Credit policies and asset quality - Non performing exposures (Gross amount) Mn € ~ 1.3 € bn “Portfolio -1,171 mn Elrond” disposal Bad loans Unlikely to pay -151 mn

-42.0% -6.3%

2,643 2,787 2,786 2,684 2,384 2,339 2,290 2,233 1,562 1,616

30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017

“Portfolio Elrond” disposal Past due Non-performing exposures -25.5% -53 mn -1,311 -7 since -183 -57 Dec-16 -24.4% 5,570 5,387 5,330 243 4,019 4,012 216 205 167 163

30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017

74 Credit policies and asset quality – Asset quality (1/2) Mn € Net NPEs -1,148 mn since September 2016 (-34.5%)

3,324 3,154 3,114 222 198 188 2,369 2,176 1,885 153 1,684 1,647 151

1,607 1,404

1,217 1,272 1,279 609 621

30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017

Net Bad loans Net Unlikely to pay Net Past due

75 Credit policies and asset quality – Asset quality (2/2) Mn €

Coverage Ratios 31/12/2016 30/09/2017

Bad loans 54.4% 61.5% 64.7% proforma including Unlikely to pay 29.4% 37.1% write off (3.2%) Past due 8.2% 8.0%

Non-performing exposures Coverage Coverage Bonis

+ 5.5% YtD

0.58% 0.61% 0.48% 40.3% 41.5% 45.8% 47.7% September 2016 December 2016 September 2017 September 2016 December 2016 September 2017 September 2017 including write off Annual trend in line with the portfolio improvement effect and new credit policy

76 Cost of credit – Trend

3.48% Loss recorded for Elrond disposals (~188 ml)

2.23%

3.41% 2.68% 2.71% 2.31% Increase of provisions in Q3 1.61% 1.32% driven by the first 1.09% 1.25% 0.76% 0.75% effects of the 0.55% 0.52% 0.61% adoption of a new 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 1Q 2017 2Q 2017 3Q 2017 credit value adjustment policy

77 NPEs by sector – ATECO classification as at September 30, 2017

Breakdown Npe by sector (ATECO classification)**

Other sector 6.3% Construction Households 25.3% 11.5%

Services 8.3% ~ 47% of gross NPE real estate related

Commercial 10.5% Real estate 21.5%

Industrial 16.6%

Breakdown bad loans by sector (ATECO classification)** Breakdown UTP by sector (ATECO classification)**

Other sector Other sector 4.4% 8.0% Households Construction Construction 11.3% 25.2% Households 26.0% 10.2% Services 7.4% Services 8.9%

Real estate Commercial 13.3% Commercial 15.9% 6.7% Real estate Industrial Industrial 27.6% 12.6% **Source: internal data 22.5%

78 Breakdown on Npe as at September 30, 2017 Gross Npe – Guarantees Gross Npe - Segment

Other Individuals 3.1% Unsecured 11.4% 32.2%

Retail 20.3% Secured 67.8% Corporate 65.2%

Personal guarantees not included Source: internal data

79 Breakdown of bad loans as at September 30, 2017 Gross BAD LOANS – Guarantees Gross BAD LOANS – Segment

Other Individuals 1.8% 11.3%

Unsecured 47.6% Secured

52.4% Corporate 55.2% Retail 31.7%

Personal guarantees not included Source: internal data

80 Breakdown of UTP as at September 30, 2017

Gross UTP – Guarantees Gross UTP - Segment

Other Unsecured Individuals 4.2% 22.4% 10.2%

Retail 12.1%

Secured Corporate 77.6% 73.5%

Personal guarantees not included Source: internal data

81 Credit policies and asset quality – NPE’s analysis including collateral

NPE Coverage Ratio (%)

12.9%

19.8% Commercial and Other

21.6% 1.9% Residential 102.0%

45.8% 47.7%

NPE coverage ratio 30/09 Write-off NPE coverage ratio 30/09 Real Guarantees Other Guarantees* NPE coverage ratio proforma post write-off (1st line) (> 1st line) 30/09 post guarantees

Source: internal data

* Real estate 2nd line + judicial + financial + APS + Confidi

Real estate value equal to the last market value (according to the specific appraisal, delivered by third party appraiser), capped at the maximum amount represented by the value of the loans. Only «cash guarantees» considered, like financial guarantees, APS. No consideration at all for personal guarantees.

82 Credit policies and asset quality – NPL’s analysis - including collateral

Bad Loans – Total Coverage Ratio (%) 1.6% 5.3% 0.8% 0.6%

16.4% Commercial and Other 16.3% 3.2% Residential 105.7%

61.5%

Cash Coverage Cash Coverage Real estate Real estate Financial Asset protection Confidi Total Covarage Ratio related to bad loans mortgage -market mortgage (judicial) - Guarantees scheme Ratio write off value (1st-2nd line) market value

Source: internal data

Real estate value equal to the last market value (according to the specific appraisal, delivered by third party appraiser), capped at the maximum amount represented by the value of the loans. Only «cash guarantees» considered, like financial guarantees, APS. No consideration at all for personal guarantees.

83 Agenda

1. Credit policies and asset quality 2. Funding, liquidity and securities portfolio 3. Capital ratio 4. Revenues development 5. Cost management and Net profit development 6. Annexes

84 Funding, liquidity and securities portfolio - Direct deposits Quarterly trend (€mn) Retail funding *

19,654 19,028 19,041 18,532 18,239 18,376 17,867 17,794 17,622 17,330 16,988

12.12 12.13 12.14 12.15 03.16 06.16 09.16 12.16 03.17 06.17 09.17

* Total funding net of CCG, CDP and institutionals

Composition of Direct Funding (mn €) 31/12/2016 30/09/2017 Chg. % Saving Deposits 503 443 -12.0% -5.7% Securities issued Time deposits 1,528 877 -42.6% Deposits due to customers Current accounts 13,118 13,474 2.7% Securitizations 304 227 -25.2% Wholesale bonds (senior + subordinated) 133 278 108.3% 85% -4.6% 86% Senior retail bonds 2,090 1,771 -15.3% Subordinated retail bonds 375 221 -41.1% Deposit certificates 110 131 19.4% Deposits CCG & CDP 2,754 2,287 -17.0% 15% -12.2% 14% Other 194 187 -3.6% DIRECT FUNDING 21,109 19,896 -5.7% 31/12/2016 30/09/2017

85 Funding, liquidity and securities portfolio - Bonds by maturities and ECB funding Wholesale bonds (€ mn) Retail: bonds senior + subordinated (€ mn)

- 473 mn Issue 150 mn Tier 2 150 on April 5, 2017

642 169 Issues 2017 Maturities 2017 Issues 2017

ECB funding Creval September 2017 (€ mn) 2017 – 2019 Maturities Retail + Wholesale (€ mn)

TLTRO

940 2, 620 50 186 0 2017 2018 2019 September 2017 Source: internal data

86 Funding, liquidity and securities portfolio – Liquidity position

Gross commercial loans / Retail funding LCR as at 30th September 2017 111,3 108,5 108,7 107,4 108,1 106,7 107,1 103,6 191% 101,4

NSFR as at 30th June 2017 30/09/2015 31/12/2015 31/03/2016 30/06/2016 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 112%

Short-term liquidity position – September, 27th 2017 (€ mn)

1d 2d 3d 4d 5d 2w 3w 1m 2m 3m Net balance of cumulative - 208 - 154 - 633 - 617 - 555 - 555 - 579 - 849 - 1,068 - 1,278 expiring positions Counterbalancing Capacity 3,351 3,291 3,746 3,857 3,757 3,737 3,805 3,901 4,060 4,210 Net balance of overall liquidity 3,142 3,136 3,113 3,240 3,203 3,182 3,226 3,052 2,992 2,932

Net liquidity balance ~ 12.6% of the Total Asset of the Group

87 Funding, liquidity and securities portfolio - Securities portfolio diversification Breakdown by accounting portfolio Breakdown of HTM portfolio HFT 0.5% HTM 31/12/2016 30/06/2017 30/09/2017 16.4% HFT Portfolio 19 20 27 Other Sovereign AFS Portfolio 5,436 4,496 4,475 24.2% BTP HTM Portfolio - 810 885 75.8%

AFS Current Average Duration of Govie’s AFS portfolio* 3.21 83.1%

Breakdown of AFS portfolio 31/12/2016 30/06/2017 30/09/2017 Debt instruments 5,199 4,293 4,217

Debt instruments Equity instruments 127 118 117 CCT 94.2% OEIC Units 110 85 141 5.4%

Other equities • AFS reserve as at 30 September -18.5 mn € 6.1% Equity • AFS reserve on Govies, as at 30 September ~ - 22.2 mn € instruments BTP 2.6% • AFS reserve as at 03 November ~ 15.3 mn € 77.8%

OEIC units • AFS reserve as at 30 June -37.7 mn € Other bonds 3.2% 10.7% • AFS reserve on Govies, as at 30 June ~ - 38.4 mn € * As at 30th September 2017: Italian, Spanish and Portuguese government bonds.

88 Funding, liquidity and securities portfolio - Indirect deposits analysis Quarterly trend (€mn) Indirect Funding

+1.5% -0.02% +1.0% +1.7% Placement of “PIR”: 11,603 11,600 11,716 11,918 11,429 91.2 mn

30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017

Indirect deposits breakdown AUM Development of the strategic +2.7% Under custody partnership with ANIMA SGR

37% 36% +0.2% (mn €) 31/12/2016 30/09/2017 Chg. % Funds & Sicav 2,550 2,982 17.0% Custody 4,312 4,321 0.2% 63% 64% Individual accounts 2,149 1,907 -11.2% +4.2% Insurance 2,592 2,708 4.5% Total 11,603 11,918 2.7% 31/12/2016 30/09/2017

89 Agenda

1. Credit policies and asset quality 2. Funding, liquidity and securities portfolio 3. Capital ratio 4. Revenues development 5. Cost management and Net profit development 6. Annexes

90 Capital ratio- Capital ratios evolution Capital ratios evolution, phased-in calculation

13.7% 13.0% 12.4% 12.4% 11.8% 11.8% 11.6% 11.6% 12.7% 12.5% 11.3% 10.5% 10.5% 9.4% 9.4%

30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017

Common Equity Tier 1 ratio Tier 1 ratio Total capital ratio

Leverage ratio as at Capital ratio 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 Obtainment of the GACS 30/06/2017 COMMON EQUITY (€ mn) 1,839 1,713 1,702 1,511 1,295 guarantee and incremental 5.5% (fully loaded) TIER 1 (€ mn) 1,839 1,713 1,702 1,511 1,295 provisions on NPEs TIER 2 (€ mn) 195 180 156 284 262 TOTAL CAPITAL (€ mn) 2,033 1,893 1,858 1,795 1,557 RWA (€ mn) 14,819 14,539 14,664 14,361 13,739 TIER 1 RATIO 12.4% 11.8% 11.6% 10.5% 9.4% Requirements 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 Credit 90.3% 90.3% 90.2% 90.1% 88.8% Indicator 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 CVA 0.2% 0.2% 0.2% 0.2% 0.2% Gross Loan Risk weighted 66.4% 64.1% 65.3% 65.5% 62.0% Market 0.04% 0.02% 0.1% 0.1% 0.9% RWA/Assets 56.8% 57.1% 56.4% 56.6% 55.0% Operational 9.5% 9.5% 9.5% 9.7% 10.1%

91 Agenda

1. Credit policies and asset quality 2. Funding, liquidity and securities portfolio 3. Capital ratio 4. Revenues development 5. Cost management and Net profit development 6. Annexes

92 Revenues development – Operating income development

3.9

213.2 -229,7 14.3

294.6 296.3

NII Net fees and Div. & profits on inv. in Trading income Other net income Operating income commissions ass. comp.

-6.7% -21.3% n.s. Chg % 3Q 2017 – +4.0% +11.7% -47.0% 3Q 2016

93 Revenues development – Focus on interest income (1/2) Interest Income, Quarterly figures (€/1,000) +0.9% -5.7% -0.7% -3.2%

104,826 105,769 99,725 99,047 95,838

3Q-16 4Q-16 1Q-17 2Q-17 3Q-17

Trend euribor quarterly (2014-2017)

0,08% 0,08% 0,02% -0,01% -0,04% -0,13% -0,24% -0,29% -0,30% -0,32% -0,33% -0,33% -0,33%

Sept 14 Dec 14 Mar 15 Jun 15 Sept 15 Dec 15 Mar 16 Jun 16 Sept 16 Dec 16 Mar 17 Jun 17 Sep 17

NIM* (2014-2017)

2,46% 2,52% 2,52% 2,56% 2,48% 2,44% 2,42% 2,27% 2,27% 2,36% 2,31% 2,36% 2,29%

Sept 14 Dec 14 Mar 15 Jun 15 Sept 15 Dec 15 Mar 16 Jun 16 Sept 16 Dec 16 Mar 17 Jun 17 Sep 17

* NIM = Interest income / Loans to customers

94 Revenues development – Focus on interest income (2/2)

Carry trade, finance, interbank and other Commercial interest margin

107,734 106,307 104,767 101,310 98,349 99,272 99,473 93,197 94,662 92,679 3.3% of NII related to carry trade, finance and interbank

12,749 8,054 7,846 6,181 5,260 5,554 6,296 6,528 4,385 3,159 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 3Q17

The amounts include the effect of the issuance (April 2017) of sub debt for 150 ml

*Interest financial assets – Interest due to central counterparties – Interest term deposits with central bank – Hedging results – Interest loans to banks – Interest income securities – Interest banks – Other interest

95 Revenues development – Focus on net fees

Net fees quarterly trend (€/1,000)

+10.1% -10.4% +10.3% -5.0%

68,620 75,545 67,670 74,646 70,881

3Q16 4Q16 1Q17 2Q17 3Q17 Net fees breakdown - YoY

Loans and other +4.0% 22.2%

Asset management, trading and Asset management, trading +17.8% and advisory services ~ 10.5% of up front 66,431 78,268 advisory services 36.7% Payment and collection services fees on total fees at September 2017* 44,171 -4.0% 42,398 Current account

43,192 45,300 Loans and other Current account +4.9% 21.2%

51,106 -7.6% 47,231 Payment and collection services 19.9% 3Q-16 3Q-17

* Up front fees: placement of insurance and AUM, fees received from commercial partners (Alba Leasing, Compass, IBL) and Factoring fees

96 Agenda

1. Credit policies and asset quality 2. Funding, liquidity and securities portfolio 3. Capital ratio 4. Revenues development 5. Cost management and Net profit development 6. Annexes

97 Cost management and Net profit development - Operating result and cost income Operating result development (€ mn)

Including 14.6 mn of provisions for 202.4 SRF and DGS and 1.6 mn for DTA 296.3

155,4 Action plan Creval 2017-2018: -82.7 87 branches closed 21,2 (of which 23 in 2016 and 64 in 2017) Operating Income Personnel expenses Other admin. expenses Amortization Net operating margin Chg % 3Q 2017 -47.0% -7.5% +10.5% -13.2% n.s. –3Q 2016

Cost income ratio* Cost to asset ratio* Operating expenses* (€ /1,000) -2.5%

1.9% 1.9% 62.0% 67.1% 372,620 363,354 3Q-16 3Q-17 Operating expenses annualized / Total Asset 3Q-16 3Q-17 3Q-16 3Q-17

* Pro-forma indicators (excluding extraordinary items in both periods).

98 Cost management and Net profit development – branches and personnel Number of employees

4,514 4,482 -550 employees 4,362 4,312 4,275 since 2010 (-12%) 4,123 4,055 3,938 3,964

2010 2011 2012 2013 2014 2015 2016 giu-17 set-17 Number of branches

- 104 branches since 543 543 544 543 539 526 503 438 439 2013 (-19%)

2010 2011 2012 2013 2014 2015 2016 giu-17 set-17

99 Executive summary - Strengthening “Customer base” as at 30.09.2017

967 k customers Cross selling ~ 4.2 Retention rate** ~ 94.3%

Active Internet Banking Users Bancaperta access 3Q 2017

+ 2.9 % + 26.0 % ~ 183,949 downloaded apps*

… 281,482 … +8% YtD …

32.457.552 25.769.545

12.14 12.15 12.16 09.17 **Source: customer satisfaction survey – households – as at 30.09.2017 3Q 2016 3Q 2017 *As at 30/09/2017; source: internal data

100 App Bancaperta: download +8% YtD

Active app as at September 30, 2017: more than 183.000 (at least one access in the last 180 days) From app the 44% average WP 5,733 daily access iOS 75,643 ANDROID 102,573

0 20.000 40.000 60.000 80.000 100.000 120.000 140.000 Reviews Rank Reviews Rank Reviews Rank Average rank Credito Valtellinese 2,432 4.5 164 4.2 143 4.4 4.5 Fineco 30,260 4.5 8,284 4.2 588 4.1 4.4 Unicredit 69,913 4.3 9,475 4.1 1,950 3.9 4.3 Credem 1,961 4.3 454 3.0 117 4.3 4.1 Bancaperta considered by users Banca Pop. Sondrio 1,827 4.2 438 4.0 n.d. n.d. 4.2 the best banking app Banca Pop. Milano 6,781 3.8 1,091 3.5 n.d. n.d. 3.8 BPER 2,737 3.9 388 3.0 n.d. n.d. 3.8 UBI Banca 5,905 3.7 989 2.5 n.d. n.d. 3.5 Mediolanum 6,525 4.1 1,112 2.5 234 2.3 3.8 Intesa Sanpaolo 28,667 3.6 2,906 2.5 940 2.9 3.5 CheBanca! 11,777 4.1 1,919 3.5 423 2.5 4.0 Source: internal data

101 Cost management and Net profit development - Online data trend

% money transfer online % F24 online

+ 3.3% + 2.8%

79,1% 81,7% 76,8% 79,0%

Q3 2016 Q3 2017 Q3 2016 Q3 2017

% trading online Fees and commissions on trading online

+ 5.0% + 5.7%

78,4% 74,7% 53,2% 56,2%

Q3 2016 Q3 2017 Q3 2016 Q3 2017

Source: internal data

102 Cost management and Net profit development – Net profit development

Of which Atlante and other stake 39.3 mn

Increase of provisions in € / 1.000 3Q 2017 3Q 2016 Chg % Q3 driven by the first effects of the adoption of Net operating margin - 82,719 174,999 n.s. a new credit value Value adjustments - 386,060 - 388,691 -0.7% adjustments policy Net accruals to provisions for risks and charges - 681 - 828 -17.8% Net gains on sales of investments 68,877 26,261 n.s. Of which Income before taxes - 400,583 - 188,259 n.s. real estate deal 69.7 mn Tax for the period 126 55,169 n.s. Minorities - 2,159 - 2,956 -27.0% Net result - 402,616 - 136,046 n.s.

103 Extraordinary Items

Extraordinary Items September 2017 Loss for NLP disposal (Elrond) -242.7 Loss for UTP disposal -13.4 Sale of Anima stake 9.3 Operating income (Elrond) 5.0 Operating costs (Elrond) -3.0 Personnel extraordinary contribution 7.5 Other administrative expenses (Elrond) -7.0 Write off of Atlante Fund and other -39.3 Effects of the adoption of a new credit value adjustment policy -193.7 and minor Elrond effects Profit from sale of investment 69.7 Extraordinary Items -407.6 Pre-Tax Result -400.6 Restated Pre-Tax Result 7.0

104 Agenda

1. Credit policies and asset quality 2. Funding, liquidity and securities portfolio 3. Capital ratio 4. Revenues development 5. Cost management and Net profit development 6. Annexes

105 Annexes – Consolidated balance Sheet Data

September 30th 2017 vs December 31st 2016 (€ mn) -2.7% 31/12/2016 30/09/2017

-5.7% -1.8%

+2.7% 32.712 31,814

21,109 19,896 17,429 17,119 11,603 11,918

Loans to customers* Direct deposits* Indirect deposits Total deposits

Balance sheet structure 31/12/2016 30/09/2017

Indirect deposits from customers / Total deposits 35.5% 37.5% Direct deposits from customers / Total liabilities 82.9% 79.7% Loans to customers/ Direct deposits from customers 82.6% 86.0% Loans to customers / Total assets 68.4% 68.5%

* The amounts include components referring to central counterparties and institutionals

106 Annexes – Breakdown indirect deposit

Breakdown Individual accounts (€ mn) Breakdown Custody (€ mn)

+0.2% -11.2% 4,312 4,321 2,149 1,907 1,735 -10.7% 1,550 760 -38.1% 470 Government Bonds + Other 902 Bond - Monetary 1,030 -12.4% Bond Equity-Flexible-Balanced 1,389 1,437 Equity 1,869 +3.5% 1,547 +20.8%

31/12/2016 30/09/2017 31/12/2016 30/09/2017

Breakdown Funds & Sicav (€ mn) +17.0%

2,550 2,982

1,449 Bond-Monetary + -1.2% Other** 1,467 Equity-Flexible- Balanced 1,533 1,083 +41.6%

31/12/2016 30/09/2017 ** Other including funds not of our placement

107 Annexes – Banking spread Asset yield, liability cost and spread

3.50% 3.42% 3.14% 2.95% 2.75% 2.78% 2.70% 2.62% 2.49% 2.37% 2.35% 2.38% 2.24% 2.27% 2.24% QoQ YoY 2.02% 1.90% Asset Yield -11 bps 1.72% 1.81% 1.80% 1.76% 1.74% -3 bps 1.71% 1.70% 1.68% 1.62% 1.66% 1.65% 1.66% 1.64% Spread -2 bps - 2 bps Liability cost 1.48% 1.52% 1.42% -2 bps -10 bps 1.24% 1.05% 0.98% 0.90% 0.86% 0.81% 0.75% 0.69% 0.64% 0.60% 0.61% 0.59%

1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 3Q17

Asset = Loans to customers, loans to banks, financial assets Asset yield = Interest income / average bearing assets of the quarter Liability = due to customers, due to banks, securities issued Liability cost = Interest expenses / average bearing liability of the quarter

108 Annexes – Loans to customers analysis

Quarterly trend (€ mn)

Commercial Loans (gross value) Other Loans (gross value) 412 950 1,321 1,224 984 830 760 711 1,006 1,424

21,279 20,074 20,106 19,825 19,741 19,315 18,990 18,871 17,578 17,603

12.13 12.14 12.15 03.16 06.16 09.16 12.16 03.17 06.17 09.17

109 Annexes – NPEs management model

0 30 90 Max 270 Past due days UNLIKELY TO PAY

Administrative PERFORMING PAST DUE SUBSTANDARD RESTRUCTURED BAD LOANS category

Managerial GREEN category YELLOW ORANGE RED SUBSTANDARD RESTRUCTURED BAD LOANS SKY-BLUE

Credit Department / Bad Loans Owner by segment Phone Collection Home Collection Non core Unit Department Retail / Household Retail / Household Household / Retail Manager Manager

Corporate Credit Manager / Credit Manager/ Corporate Credit Manager Bad Loans SME / Corporate Branch Manager Credit Department Restructuring Manager Manager Department Non Core Unit • Tailored approach for each different status/category • Leverage on specialized partner for reducing costs and improving performance • Industrial model for NPE management, upgraded over time

110 Annexes – Asset quality details

Mn €

Gross Impairment Carrying Coverage 30/09/2017 amount losses amount ratio Bad loans 1,616 - 995 621 61.5% Unlikely to pay loans 2,233 - 829 1,404 37.1% Past due exposures 163 - 12 151 8.0% Total impaired loans 4,012 - 1,836 2,176 45.8% Performing loans 15,015 - 72 14,943 0.5% Total loans and receivables with customers 19,027 - 1,908 17,119

111 Annexes – Reclassified balance sheet – quarterly figures

Assets 30/09/2017 30/06/2017 31/03/2017 31/12/2016 30/09/2016 Cash and cash equivalents 152,978 156,385 150,632 170,735 147,854 Financial assets held for trading 27,282 20,280 22,797 18,999 28,694 Available-for-sale financial assets 4,474,735 4,495,735 4,908,900 5,436,165 5,421,590 Held-to-maturity investments 885,186 810,229 624,471 - - Loans and receivables with banks 851,891 916,938 1,347,802 821,748 1,064,051 Loans and receivables with customers 17,119,206 16,857,488 17,281,485 17,429,196 17,813,992 Hedging derivatives 82 - - - - Equity Investments 25,130 23,268 9,742 9,559 9,574 Property, equipment and investment property and 441,388 449,962 480,553 483,816 562,903 intangible assets Non-current assets and disposal groups held for sale 6,928 507,709 32,071 1,498 864 Other assets 992,806 1,155,950 1,125,569 1,097,743 1,031,093 Total assets 24,977,612 25,393,944 25,984,022 25,469,459 26,080,615

Liabilities and Equity 30/09/2017 30/06/2017 31/03/2017 31/12/2016 30/09/2016 Due to banks 2,728,082 2,655,250 2,805,884 1,661,670 1,742,354 Direct funding from customers 19,896,215 20,023,354 20,168,413 21,108,765 21,103,638 Financial liabilities held for trading 1,827 674 411 1,468 759 Hedging derivatives 265,684 263,821 286,390 294,137 350,170 Other liabilities 552,140 727,207 802,722 437,838 727,939 Provisions for specific purpose 169,795 171,722 209,463 208,111 187,404 Equity attributable to non-controlling interests 2,844 3,378 3,586 4,040 3,775 Equity 1,361,025 1,548,538 1,707,153 1,753,430 1,964,576 Total liabilities and equity 24,977,612 25,393,944 25,984,022 25,469,459 26,080,615

112 Annexes – Reclassified consolidated income statement

Income statement Q3 2017 Q2 2017 Q1 2017 Q4 2016 Q3 2016 Net interest income 95,838 99,047 99,725 105,769 104,826 Net fee and commission income 70,881 74,646 67,670 75,545 68,620 Dividends and similar income 24 2,586 290 33 80 Profit (loss) of equity-accounted investments 832 - 16 174 142 480 Net trading and hedging income (expense) and profit (loss) on - 240,543 - 1,282 12,092 - 36,062 - 15,449 sales/repurchases Other operating net income 3,669 5,795 4,905 3,375 4,115 Operating income - 69,299 180,776 184,856 148,802 162,672 Personnel expenses - 68,068 - 59,193 - 75,122 - 127,358 - 72,443 Other administrative expenses - 47,741 - 59,494 - 48,217 - 69,494 - 41,928 Depreciation/amortisation and net impairment losses on property, equipment - 7,363 - 6,455 - 7,399 - 9,474 - 8,389 and investment property and intangible assets Operating costs - 123,172 - 125,142 - 130,738 - 206,326 - 122,760 Operating profit - 192,471 55,634 54,118 - 57,524 39,912 Net impairment losses on loans and receivables and other financial assets - 17,047 - 321,102 - 47,911 - 102,541 - 236,914 Net accruals to provisions for risks and charges - 639 1,024 - 1,066 11,493 1,055 Value adjustments of goodwill - - - - 68,797 - Net gains (losses) on sales of investments 97 68,798 - 18 5,105 9 Pre-tax profit (loss) from continuing operations - 210,060 - 195,646 5,123 - 212,264 - 195,938 Income taxes 2,603 - 801 - 1,676 16,622 41,557 Post-tax profit (loss) from continuing operations - 207,457 - 196,447 3,447 - 195,642 - 154,381 Profit (loss) for the period attributable to non-controlling interests - 331 - 739 - 1,089 - 1,415 - 801 Profit (Loss) for the period - 207,788 - 197,186 2,358 - 197,057 - 155,182

113 Contacts for Investor and Financial Analysts

. Ugo Colombo CFO (Chief Financial Officer)

Mob. +39 3355761968 Email [email protected]

. Tiziana Camozzi Head of Investor Relations

Tel. +39 0280637471 Mob. +39 3346700124 Email [email protected]

114 Consolidated Results as at September 30th 2017

115